Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 4 | 4 | 6 |
| Score | -2.7 | -1.54 | 0.12 |
| Market Cap (Millions USD) | 1862.47 | 1879.18 | 1919.28 |
| Predicted Beta | 0.8 | 0.81 | 0.81 |
| Idiosyncratic Volatility | 1.52 | 1.66 | 1.71 |
Annualized return and volatility
| SLYG | |
|---|---|
| Annualized Return | 0.0644 |
| Annualized Std Dev | 0.2298 |
| Annualized Sharpe (Rf=0%) | 0.2800 |
Row
Daily Return Statistics
| SLYG | |
|---|---|
| Observations | 4920.0000 |
| NAs | 194.0000 |
| Minimum | -0.0948 |
| Quartile 1 | -0.0063 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0078 |
| Maximum | 0.1415 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0002 |
| Stdev | 0.0145 |
| Skewness | -0.0435 |
| Kurtosis | 5.7452 |
Downside Risk
| SLYG | |
|---|---|
| Semi Deviation | 0.0104 |
| Gain Deviation | 0.0101 |
| Loss Deviation | 0.0108 |
| Downside Deviation (MAR=210%) | 0.0150 |
| Downside Deviation (Rf=0%) | 0.0102 |
| Downside Deviation (0%) | 0.0102 |
| Maximum Drawdown | 0.6215 |
| Historical VaR (95%) | -0.0227 |
| Historical ES (95%) | -0.0341 |
| Modified VaR (95%) | -0.0220 |
| Modified ES (95%) | -0.0349 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2000-10-03 | 2002-10-09 | 2007-02-01 | -0.6215 | 1617 | 513 | 1104 |
| 2007-10-11 | 2009-03-09 | 2010-12-06 | -0.6003 | 809 | 363 | 446 |
| 2018-09-04 | 2018-12-24 | NA | -0.2718 | 336 | 79 | NA |
| 2011-07-08 | 2011-10-03 | 2012-03-19 | -0.2629 | 178 | 62 | 116 |
| 2015-06-23 | 2016-02-11 | 2016-07-12 | -0.1945 | 270 | 165 | 105 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | SLYG | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.0 | 1.4 | 0.0 | 1.4 |
| 2001 | -1.2 | -2.2 | 0.0 | 1.9 | 0.5 | 0.0 | 1.1 | 0.0 | -2.0 | 2.1 | 0.0 | 0.0 | 0.3 |
| 2002 | -1.0 | 2.9 | -0.9 | -0.8 | 0.0 | -4.6 | -1.1 | 0.0 | -0.2 | 0.0 | 0.0 | 0.0 | -5.7 |
| 2003 | 0.0 | 0.0 | 0.0 | 0.4 | 0.0 | 1.1 | -1.3 | 0.0 | 2.1 | 0.0 | 1.5 | 0.0 | 3.8 |
| 2004 | 0.0 | 1.7 | 0.5 | 0.0 | 0.7 | -1.1 | 0.0 | 1.4 | 1.5 | 0.4 | 1.6 | 0.0 | 7.0 |
| 2005 | 0.8 | 0.8 | -0.6 | 0.0 | 0.2 | -0.2 | 0.3 | 0.6 | 0.0 | -0.4 | 1.6 | 0.0 | 3.2 |
| 2006 | 0.2 | 1.4 | 0.0 | -0.3 | 2.3 | 0.0 | -1.8 | 0.2 | 0.0 | -1.9 | -1.1 | 0.0 | -1.1 |
| 2007 | 0.7 | -0.1 | 0.0 | 0.0 | 0.8 | 0.0 | 0.1 | 0.0 | 1.9 | -2.6 | 0.0 | 0.0 | 0.9 |
| 2008 | 2.6 | 0.0 | 2.7 | 1.1 | 0.0 | 0.0 | 0.2 | 0.0 | -1.4 | 0.0 | -9.4 | 0.0 | -4.6 |
| 2009 | 0.0 | 0.0 | 0.6 | 0.4 | 4.4 | 1.3 | 0.0 | -2.7 | -3.5 | 0.0 | 2.0 | 0.0 | 2.4 |
| 2010 | 1.7 | 2.1 | 1.0 | 0.0 | -2.8 | -0.8 | 0.0 | 3.3 | 0.3 | -1.1 | 2.1 | 0.0 | 5.6 |
| 2011 | 1.7 | -1.3 | 0.4 | 0.0 | -2.5 | 1.3 | -0.8 | -1.6 | 0.0 | -3.2 | 0.9 | 0.0 | -5.2 |
| 2012 | 2.1 | 1.1 | 0.0 | 0.3 | -2.5 | 0.0 | -1.6 | 0.0 | -0.1 | 1.2 | 0.0 | 0.0 | 0.4 |
| 2013 | 1.3 | 0.0 | -1.3 | -1.8 | 0.0 | 1.6 | 1.3 | 0.0 | 1.2 | -0.8 | 0.0 | 0.0 | 1.3 |
| 2014 | 0.0 | 0.0 | 1.2 | 0.3 | 0.0 | 1.5 | -0.6 | 0.0 | -2.0 | 0.0 | -1.5 | 0.0 | -1.1 |
| 2015 | 0.0 | 0.0 | 0.0 | 0.6 | 0.4 | 0.5 | 0.0 | -2.7 | -0.2 | 0.0 | 0.7 | 0.0 | -0.8 |
| 2016 | 0.0 | 2.1 | 0.3 | 0.0 | 1.0 | 0.2 | -0.1 | 0.1 | 0.0 | -1.5 | -0.3 | 0.0 | 1.9 |
| 2017 | -0.1 | 1.7 | 0.0 | 0.7 | 1.8 | 0.0 | 0.3 | 0.7 | 0.0 | -0.5 | -0.8 | 0.0 | 3.8 |
| 2018 | 0.6 | -0.7 | 0.0 | 0.7 | 0.9 | 0.0 | 0.3 | 0.0 | -1.6 | 2.5 | 0.0 | 0.0 | 2.6 |
| 2019 | -0.3 | 0.6 | 0.9 | -0.7 | 0.0 | 0.4 | -1.1 | 0.0 | -1.9 | 1.3 | 0.0 | 0.2 | -0.8 |
Row
Rolling Performance Chart
Snail Trail Chart
